Journal of Financial & Quantitative Analysis. Volume 50, Issue 5 October 2015

可投资性对资产定价的影响

作者：Vihang Errunza (McGill University, Desautels Faculty of Management)

Hai Ta (University of Winnipeg, Faculty of Business Administration and Economics)

摘要：我们提出了一个国际资产定价模型用来刻画可投资性限制对资产定价的影响。对于由18个新兴市场构成的样本而言，当不可投资公司变成部分可投资时，我们利用标准普尔可投资权重因子（IWF）可以降低股票资本成本26.33%,当部分可投资公司变成没有投资限制时，股票资本成本能降低12.51%。我们通过股票是否拥有全球/美国存托凭证和外国机构持仓作为可投资性的代理指标，检验了IWF的普适性。我们的结果很好的支撑了市场自由化政策的经济效益。

The Impact of Investability on Asset Valuation

Vihang Errunza (McGill University, Desautels Faculty of Management)

Hai Ta (University of Winnipeg, Faculty of Business Administration and Economics)

ABSTRACT

We develop an international asset pricing model to measure the impact of investability constraints on asset pricing. For a sample of 18 emerging markets, we use Standard & Poor’s investable weight factor (IWF) to show a 26.33% reduction in the cost of equity capital when non-investable firms become partially investable, with a further 12.51% reduction when partially investable firms become unrestricted. We demonstrate the generality and usefulness of the IWF by examining stocks with global/American depositary receipts and foreign institutional holdings as alternate investability proxies. Our results provide strong evidence of the economic benefits of market liberalization policies.

原文链接: https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/impact-of-investability-on-asset-valuation/9E3F0C36986C07133DFC1D048D515560

翻译：汪国颂